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The effect of herding in financial markets
dc.contributor | Tedeschi, Gabriele | |
dc.contributor.author | Jiménez Bermúdez, Andoni | |
dc.contributor.other | Universitat Jaume I. Departament d'Economia | |
dc.date.accessioned | 2016-12-15T12:42:44Z | |
dc.date.available | 2016-12-15T12:42:44Z | |
dc.date.issued | 2016-11-25 | |
dc.identifier.uri | http://hdl.handle.net/10234/165063 | |
dc.description | Treball Final de Grau en Economia. Codi: EC1049. Curs: 2015/2016 | ca_CA |
dc.description.abstract | In this research we present a stylized financial agent-based model with heterogeneous noise traders that imitate each other on a dynamic network structure. Following Tedeschi et al. (2009, 2012), we show how an expectation feedback system can reproduce synchronization effects generating large fluctuations in returns. Moreover, we assess how ‘herding’ can give rise to some stylized facts such as volatility clustering and fat tailed distributions in some investigated variables such as indegree or returns, (see Cont, 2001). We demonstrate how the transition from periods of network centralization, corresponding to high synchronization in agents’ expectations, to periods of decentralization, when traders play randomly, is the key ingredient to reproduce these statistical properties above-mentioned. The model is an evolution of Tedeschi’s (2009), since we introduce and endogenous evolution mechanism of the intensity of choice, β. Here this parameter is updated daily according to the guru’s surviving period. Our findings show that there exists a strong correlation between the “guru evolution” and the returns time series. | ca_CA |
dc.format.extent | 31 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Universitat Jaume I | ca_CA |
dc.rights | Atribución-NoComercial-SinDerivadas 4.0 España | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Grau en Economia | ca_CA |
dc.subject | Grado en Economía | ca_CA |
dc.subject | Bachelor's Degree in Economics | ca_CA |
dc.subject | volatility clustering | ca_CA |
dc.subject | fat-tail distributions | ca_CA |
dc.subject | noise traders | ca_CA |
dc.subject | intensity of choice | ca_CA |
dc.subject | guru | ca_CA |
dc.title | The effect of herding in financial markets | ca_CA |
dc.type | info:eu-repo/semantics/bachelorThesis | ca_CA |
dc.educationLevel | Estudios de Grado | ca_CA |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
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Grau en Economia [289]
EC1049